Working Paper
Trends and random walks in macroeconomic time series: a re-examination
Rudebusch, Glenn D. (1990)
Working Paper Series / Economic Activity Section , Paper 105

Working Paper
The algebra of I (1)
Granger, Clive W. J.; Hallman, Jeffrey J. (1988)
Finance and Economics Discussion Series , Paper 45

Working Paper
Why random walk models of the term structure are hard to reject
Berger, Allen N.; Craine, Roger (1987)
Finance and Economics Discussion Series , Paper 1

Discussion Paper
Deviations from random-walk behavior: tests based on the variance-time function
Diebold, Francis X. (1987)
Special Studies Papers , Paper 224

Working Paper
On the use of variance ratios in the analysis of nonstationary time series
Chandrakantha, M. S. Leslie; Mehta, J. S.; Swamy, P. A. V. B. (1989)
Finance and Economics Discussion Series , Paper 89-97

Working Paper
Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function
Diebold, Francis X. (1988)
Finance and Economics Discussion Series , Paper 41

Journal Article
If exchange rates are random walks, then almost everything we say about monetary policy is wrong
Kehoe, Patrick J.; Alvarez, Fernando; Atkeson, Andrew (2008-07)
The key question asked by standard monetary models used for policy analysis is, How do changes in short-term interest rates affect the economy? All of the standard models imply that such changes in interest rates affect the economy by altering the conditional means of the macroeconomic aggregates and have no effect on the conditional variances of these aggregates. We argue that the data on exchange rates imply nearly the opposite: the observation that exchange rates are approximately random walks implies that fluctuations in interest rates are associated with nearly one-for-one changes in ...
Quarterly Review , Issue Jul , Pages 2-9

Working Paper
Asymmetric persistence in GDP? A deeper look at depth
Iwata, Shigeru; Hess, Gregory D. (1997)
If economic time series behave asymmetrically, then an interpretation of economic fluctuations based on linear time series models could be misleading. Beaudry and Koop (1993) recently argued that for post war U.S. GDP data there exists a statistically significant difference in persistence between negative and positive shocks. Their finding, if true, would be quite interesting since it would bring a new perspective to the literature on business cycle, which has been dominated by two conflicting views: the trend-reverting view of Blanchard (1981) and the permanent view of Campbell and Mankiw ...
Research Working Paper , Paper 97-02

Report
Short-term speculators and the origins of near-random walk exchange rate behavior
Osler, Carol L. (1992)
Research Paper , Paper 9221

Report
Short-term speculators and the origins of near-random-walk exchange rate behavior
Osler, Carol L. (1995)
This paper suggests that normal speculative activity could be a source of random-walk exchange rate behavior. Using a noise trader model to analyze very short-term exchange rate behavior, it shows that rational, risk-averse speculators will smooth the impact of shocks to exchange rate fundamentals. With sufficient speculative activity, an exchange rate could become statistically indistinguishable from a random walk, regardless of the generating processes of its fundamental determinants. ; This result may help resolve the apparent inconsistency between the observed behavior of floating ...
Staff Reports , Paper 3